No you can't but you can put a condition in case of impact.
Make an instannce variable to Exhaust, called "spawner".
Make an instance variable in Rocket, called "EXA"
Both with initial value -45678
Add events :
1 When c clicked- spawn Rocket
2 every tick
for each Rocket
If Rocket"EXA" is not 1
- Rocket spawn Exhaust
- set Rocket"EXA" to 1
- set Exhaust"spawner" to rocket.UID
3 every tick
For each rocket
Exhaust "spawner" = rocket.UID
-set Exhaust postion to rocket.x rocket.y (or whatever)
4 For each rocket
When rocket collisions with x
Exhaust "spawner" = rocket.UID
-Destroy Rocket
-Destroy Exhaust
May need a little tweaking.
saludos :D